sahandsydney / eurexas

Eurex VSTOXX & Variance Advanced Services

Eurex Advanced Services

This repository provides all Python codes and IPython Notebooks of the Eurex Advanced Tutorial Series found under http://www.eurexchange.com/advanced-services/.

VSTOXX Advanced Services

The VSTOXX Advanced Services tutorial is about the VSTOXX volatility index and futures and options traded on it. The tutorial consists covers five main topics:

• Analyzing Historical VSTOXX Data
• Calculating the VSTOXX Index
• Valuing Volatility Derivatives
• Automated Monte Carlo Tests
• Model Calibration

You find the tutorial under http://www.eurexchange.com/advanced-services/vstoxx/.

Variance Advances Services

The Variance Advanced Services tutorial is about the recently introduced Variance Futues of Eurex. It covers also covers five main topics:

• Realized Variance and Variance Swaps
• Model-Free Replication of Variance
• Variance Futures at Eurex
• Trading and Settlement
• Backtesting Data

You find the tutorial under http://www.eurexchange.com/advanced-services/variance/.

Python code and IPython Notebooks

In this repository, you find all accompanying Python codes (modules/scripts) as well as IPython Notebooks of the above two tutorials.

Using the IPython Notebook environment (cf. http://ipython.org) you are able to reproduce all results (data, results, graphics) of the tutorials.

Python Prerequisites

If you do not have already installed a current Python interpreter (2.7.x) with the most important data analytics libraries (mainly NumPy, pandas, PyTables/HDF5, matplotlib are needed), it is easiest to install the Anaconda Python distribution which is free and available for all main operating systems (Linux, Windows, Mac OS). You can download it under http://continuum.io/downloads.

Help and Support

The Eurex Advanced Services tutorials are supported and maintained by The Python Quants GmbH (http://pythonquants.com). You can reach us under [email protected].